Accurate Evaluation of European and American Options Under the CGMY Process

DOI10.1137/050637613zbMath1151.91473MaRDI QIDQ5444244

Ariel Almendral, Cornelis W. Oosterlee

Publication date: 25 February 2008

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://resolver.tudelft.nl/uuid:8c253c51-1ed0-4121-8dfc-a04bd4bd6a82

zbMATH Keywords

collocation method; option pricing; partial integro-differential equations

Mathematics Subject Classification ID

65R20: Numerical methods for integral equations

45K05: Integro-partial differential equations

45D05: Volterra integral equations

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